It doesn't make any difference. Sysadmin checked everything between the guest/host and the iSCSI box, they didn't see anything wrong.
I now analyzed a long-running query (> 5 minutes) with a level 8 10046 trace.
This is with async io enabled (disk_asynch_io=TRUE,filesystemio_options=SETALL):

So, you see, turning off async io drastically improves performance in my situation (409 versus 716 seconds). I'm going to leave it off for now, and maybe create a service request on MOS to see if they can help. I couldn't find a lot on OTN.